A note on fast envelope estimation

R. Dennis Cook, Liliana Forzani and Zhihua Su

Journal of Multivariate Analysis, 2016, vol. 150, issue C, 42-54

Abstract: We propose a new algorithm for envelope estimation, along with a new n-consistent method for computing starting values. The new algorithm, which does not require optimization over a Grassmannian, is shown by simulation to be much faster and typically more accurate than the best existing algorithm proposed by Cook and Zhang (2016).

Keywords: Envelopes; Grassmann manifold; Reducing subspaces (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.jmva.2016.05.006

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